Displaying 8 results from an estimated 8 matches for "logreturn".
2020 Oct 15
1
Logreturn variance in Heston model
I have to calculate the logreturn variance in the Heston model. How can I
do? Do you know some function that calculates it?
Thank you
Barbara
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2012 Oct 13
1
hep on arithmetic covariance conversion to log-covariance
Dear All,
is there a function in R that would help me convert a covariance matrix built based on arithmetic returns to a covariance matrix from log-returns?
As an example of the means and covariance from arithmetic:
mu <-c(0.094,0.006,1.337,1.046,0.263)
sigma
2012 Oct 14
0
multivariate lognormal distribution simulation in compositions
...26,-0.0011,-0.0455,0.0346,0.0348),byrow=TRUE,ncol=5)
mu <-c(0.094,0.006,1.337,1.046,0.263)
sampling form a lognormal distribution would be reasonable in this case as far as I can tell so with the help of Berend, the cov matrix was converted to log-return from an arithmetic return as follows:
logreturn <- function(am,asigma) {
M <- 1/(1+am)
S <- log( diag(M) %*% asigma %*% diag(M) + 1)
mu <- log(1+am) - diag(S)/2
list(mean=mu, vcov=S)
}
z <- logreturn(mu, sigma)
logmean <-z$mean
cov <-z$vcov
following I used :
i <-matrix(rlnorm.rplus(5000,logmean,cov),ncol=5), ...
2005 Sep 19
1
minimal hedge variance ratio
Hi all
i have two data sets, spot and futures cash market prices. to estimate
the minimum variance hedge ratio, i first had a glance on the
correlation coefficient of relative price change (ln(St / St-1).
surprizingly the value is just 0.2 compared to actual price
correlation of 0.9. (i did regress the spot change on future change,
co-effi is 0.3, and R2 is only 0.025
a) in such scenario can
2007 Sep 01
1
Problem in downloading Yahoo Finance data from R
Hi R users,
I have a problem in downloading Yahoo Finance data from R. I have tried
an example given in R, to download. The error is given below:
>library(fCalendar)
> yahooImport("s=IBM&a=11&b=1&c=1999&d=0&q=31&f=2000&z=IBM&x=.csv ",
file = "D:\\ Downlaod",source = "http://ichart.yahoo.com/table.csv?",
save = FALSE,
2009 Feb 16
0
odd GARCH(1,1) results
Hi everybody,
I'm trying to fit a Garch(1,1) process to the DAX returns. My data
consists of about 2300 10day-logreturns in chronologically descending
order (see attachment). But if I use the garch function I get a very
high alpha_1 and a quite low beta, which doesn't make that much sense. I
think I am missing something, but have no idea what it might be. I'd
appreciate it a lot if someone could have a l...
2012 Jul 19
1
Change log(J) to log(J+1) to stop log(0) from occurring in harModel
...itive
J = aggJ(J,periodsJ);
}
if( !is.null(leverage) ){
if( sum(data<0) == 0 ){ warning("You cannot use leverage variables in
the model in case your input consists of Realized Measures") }
# Get close-to-close returns
e = apply.daily(data,sum); #Sum logreturns daily
# Get the rmins:
rmintemp = pmin(e,0);
# Aggregate everything:
rmin = aggRV(rmintemp,periods=leverage,type="Rmin");
# Select:
rmin = rmin[(maxp:(n-h)),];
}else{ rmin = matrix(ncol=0,nrow=dim(x1)[1]) }
###############################...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...positive
J = aggJ(J,periodsJ);
}
if( !is.null(leverage) ){
if( sum(data<0) == 0 ){ warning("You cannot use leverage variables in
the model in case your input consists of Realized Measures") }
# Get close-to-close returns
e = apply.daily(data,sum); #Sum logreturns daily
# Get the rmins:
rmintemp = pmin(e,0);
# Aggregate everything:
rmin = aggRV(rmintemp,periods=leverage,type="Rmin");
# Select:
rmin = rmin[(maxp:(n-h)),];
}else{ rmin = matrix(ncol=0,nrow=dim(x1)[1]) }
###############################
# Esti...